Some 20 collateral interests in a $364 million commercial real estate collateralized loan obligation (CLO), with limited loan acquisition liability, will securitize $308.4 million in notes from the A10 BAF 2023-E.
The transaction will issue notes through eight classes of notes, all of which have a legal final maturity date of January 2039, according to ratings analysts from Kroll Bond Rating Agency. The deal has $50 million of cash collateral for the anticipated acquisition of one pre-identified delayed close asset expected to be acquired within 90 days following the closing date. There is also a $5.6 million replenishable reserve held for reinvestment, KBRA said.
KBRA highlighted several mortgage collateral parameters, including an initial trust balance of $314 million, ramped up to $364 million; an interest rate margin at 4.81% ramped to 4.63%; and an initial interest rate cap of 7.67%, ramped to 7.87%, according to the rating agency.
Some 19 senior or pari-passu participations—or both—and two whole loans make up the pool. Of the 19 participating loans, 18 of them, or 78.9%, have a related pari-passu obligation for an unfunded future advance. The initial loans were originated between December 2021 and August 2023, with 13 months of seasoning on a weighted average (WA) basis. Of the loans, 18 of them—representing 90.4% of the pool—have floating interest rates and three have fixed rates.
Multifamily properties make up 47% of the pool, which actually consists of 20 loans. Industrial, office, retail, mixed-use and manufactured housing loans account for 13.2%, 13.8%, 13.4%, 6,6% and 3.4% of the pool, respectively. In terms of state concentrations, Texas accounts for 16.3% of the pool, with Alabama, Tennessee and Maryland representing another 14.5%, 13.6% and 13.3%, respectively.
KBRA expects to assign 'AAA' ratings to the A-1 and A-S notes; 'AA-' to the class B notes; 'A-' to the class C notes; 'BBB' to the class D notes; 'BBB-' to the class Es; 'BB-' to the class F notes and 'B-' to the class G notes.
